Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0925
Annualized Std Dev 0.1746
Annualized Sharpe (Rf=0%) 0.5298

Row

Daily Return Statistics

Close
Observations 4313.0000
NAs 1.0000
Minimum -0.1105
Quartile 1 -0.0045
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0060
Maximum 0.1178
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0110
Skewness -0.1605
Kurtosis 11.1216

Downside Risk

Close
Semi Deviation 0.0080
Gain Deviation 0.0076
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0078
Downside Deviation (0%) 0.0078
Maximum Drawdown 0.4091
Historical VaR (95%) -0.0165
Historical ES (95%) -0.0263
Modified VaR (95%) -0.0157
Modified ES (95%) -0.0225
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-05 2011-04-27 -0.4091 851 310 541
2020-02-20 2020-03-23 2020-06-08 -0.2904 76 23 53
2015-07-21 2016-02-11 2017-06-19 -0.2124 483 143 340
2011-05-19 2011-08-08 2012-03-13 -0.1831 206 56 150
2018-10-02 2018-12-24 2019-11-15 -0.1727 284 58 226

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0.3 0.6 0.3 0 -1.3 0.1 0.8 1.1 -0.9 1.6 -0.5 2
2005 1 0.6 -0.8 1.6 0.3 -0.2 0.4 0.4 0.1 -0.4 0.9 -0.5 3.5
2006 0.6 0.4 -0.4 -0.7 1.4 0.7 -0.2 0.6 0.1 -0.9 0 -0.4 1.1
2007 0.8 -0.6 0.3 0.3 0.3 -0.5 0.8 0.7 1.1 -1.7 0.2 -0.7 1
2008 1.3 -1.5 2.5 1.7 0.1 0.6 -0.9 -1.1 -0.6 1.9 -6.3 1.1 -1.5
2009 -1.4 -4.1 0.5 -0.2 0.7 0 -0.4 -1.2 -1.9 -1.5 1.1 -1.1 -9.2
2010 0.3 1.1 0.5 -1.3 -1.2 -1.3 0.6 2.4 0 -0.1 1.9 -0.3 2.7
2011 1.6 -0.7 0.6 -0.2 -1.4 1.3 -1.9 -1 -1.3 -2.2 0 -0.2 -5.4
2012 1.2 0.5 0.7 0.3 -2 2 -0.3 0.4 0.6 0.8 0 1.2 5.6
2013 0.8 0.7 0 -1.1 -2 0.8 0.7 -0.6 1.3 0.7 0 0 1.3
2014 -0.8 -0.5 0.8 0.2 0.1 1.3 0 0.5 -1 0.5 -0.4 -0.8 -0.3
2015 -1.5 -0.5 -1.2 1.4 0.3 0.7 0.7 -2.7 0.8 -0.6 1.4 -0.9 -2.3
2016 0.3 2.2 1.3 -1.5 0.4 0.6 0.6 -0.2 1.1 -0.5 -1 -0.3 3.1
2017 0.7 1.2 -0.2 0.2 1.3 -0.1 -0.4 0.1 0.5 0 -0.1 -0.7 2.5
2018 0.1 -1.5 0.8 0.1 1.1 0.1 0.2 0.1 0.3 1.7 1 1.5 5.6
2019 0.1 1.5 0.1 -0.4 -0.9 0.5 0.1 0 -1.2 0.5 -0.3 0.3 0.3
2020 -1.9 -1.1 -3.9 -2 -0.8 0.8 -0.7 -0.9 -0.3 -0.4 0.7 0.7 -9.5
2021 0.6 1.5 0.7 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  50.0 SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  50.6 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  50.9 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  50.9 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  50.7 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  51.0 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart